Browsing Working Papers by Subject "C16"

Title:Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
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Author(s):HERACLEOUS, Maria S.Date:2007Type of Publication:Working PaperSeries/Report no.:EUI ECO; 2007/60Abstract:Econometric modeling based on the Student’s t distribution introduces an
additional parameter — the degree of freedom. In this paper we use a simulation
study to investigate the ability of (i) the GARCH-t model (Bollerslev, ...

Title:Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
﻿
Author(s):HERACLEOUS, Maria S.Date:2007Type of Publication:Working PaperSeries/Report no.:EUI MWP; 2007/32Abstract:Econometric modeling based on the Student's t distribution introduces an additional
parameter -- the degree of freedom. In this paper we use a simulation study to
investigate the ability of (i) the GARCH-t model (Bollerslev, ...